Tests of equal accuracy for nested models with estimated factors
type: Item
instance of: scholarly article
title: Tests of equal accuracy for nested models with estimated factors
zbMATH Open document ID: 1395.62293
author: Sílvia Gonçalves
author: Michael W. McCracken
author: Benoit Perron
published in: Journal of Econometrics
publication date: 2017-04-26T00:00:00Z
full work available at URL: 2015-025.pdf
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62H25
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6708106
zbMATH Keywords: factor model
zbMATH Keywords: out-of-sample forecasts
zbMATH Keywords: recursive estimation
zbMATH Keywords: predictive ability
zbMATH Keywords: principal components estimator
MaRDI profile type: Publication
OpenAlex ID: W3121414996
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DOI: 10.1016/J.JECONOM.2017.01.004
description: scientific article; zbMATH DE number 6708106